How to loop through OHLC DataSeries in Optimization?

Author: emskiphoto

Creation Date: 5/19/2017 8:32 PM

Wealth Lab » WealthScript (.NET) » How to loop through OHLC DataSeries in Optimization?

emskiphoto

5/19/2017 8:32 PM

In the line of code from the script below I would like to be able to substitute the term "Low" with a StrategyParameter that would enable analysis of either the O, H, L, or C of a price series in the optimization process. In other words, I wish to leverage the automated optimization process to evaluate the effectiveness of the strategy on all four of the OHLC time series for a given ticker symbol.

CODE:
Please log in to see this code.

I imagine this requires 'enumerating' the different time series and then defining Strategy Parameters as shown below. This is beyond my coding abilities - please help.

Open = 1
High = 2
Low = 3
Close = 4

CODE:
Please log in to see this code.

// for example if slider5=2, then the CrossUnder series would use the bar "High" price of the data series.

WHOLE SCRIPT (FYI):

CODE:
Please log in to see this code.

Size:

Color:

[code]if (CrossUnder(bar,Low,DataSeriesCrossBelow))[/code]

I imagine this requires 'enumerating' the different time series and then defining Strategy Parameters as shown below. This is beyond my coding abilities - please help.

Open = 1
High = 2
Low = 3
Close = 4

[code]StrategyParameter slider5;

slider5 = CreateParameter("OHLC Series", 1, 1, 4, 1);

if (CrossUnder(bar,slider5,DataSeriesCrossBelow))[/code]

// for example if slider5=2, then the CrossUnder series would use the bar "High" price of the data series.

WHOLE SCRIPT (FYI):

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
   public class MyStrategy : WealthScript
   {
      StrategyParameter slider1;
      StrategyParameter slider2;
      StrategyParameter slider3;
      StrategyParameter slider4;
      public MyStrategy()
      {
         slider1 = CreateParameter("EMA Period", 11, 9, 13, 1);
         slider2 = CreateParameter("Percent Price Rel to EMA", 1.5, 1, 2, 0.25);
         slider3 = CreateParameter("Profit Target %", 5, 5, 5, 1);
         slider4 = CreateParameter("Stop Loss %", 10, 10, 10, 1);
      }

protected override void Execute()
      {
               DataSeries DataSeriesCrossBelow = 
EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern) * (1 - slider2.Value/100d);

PlotSeries(PricePane,EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern),Color.Indigo
,LineStyle.Solid,1);
               PlotSeries(PricePane,  DataSeriesCrossBelow, Color.Red, LineStyle.Dotted, 
2 );

for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
         {
                     if (CrossUnder(bar,Low,DataSeriesCrossBelow))
               {
                  BuyAtMarket(bar + 1, "Group1|Group2|");
               }
            
            for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
            {
               Position p = ActivePositions[_pos];
               if (p.Active)
                  {
               if (p.EntrySignal.Contains("Group2|"))
               {
                  double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);
                  SellAtStop(bar + 1, p, Stop, "Group2");
               }
               if (p.EntrySignal.Contains("Group1|"))
               {
                  double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);
                  SellAtLimit(bar + 1, p, Target, "Group1");
               }

}
            }
         }
      }
   }
}[/code]

Eugene

5/19/2017 8:57 PM

Hi Matt,

There's always more than one way to skin a cat but the natural choice here is to use the switch keyword like shown below. Hope this is intuitive enough:

CODE:
Please log in to see this code.

Size:

Color:

Hi Matt,

There's always more than one way to skin a cat but the natural choice here is to use the [link=https://www.dotnetperls.com/switch]switch[/link] keyword like shown below. Hope this is intuitive enough:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

public MyStrategy()
		{
			slider1 = CreateParameter("EMA Period", 11, 9, 13, 1);
			slider2 = CreateParameter("Percent Price Rel to EMA", 1.5, 1, 2, 0.25);
			slider3 = CreateParameter("Profit Target %", 5, 5, 5, 1);
			slider4 = CreateParameter("Stop Loss %", 10, 10, 10, 1);
			slider5 = CreateParameter("OHLC Series", 1, 1, 4, 1);
		}
      
		protected override void Execute()
		{
			DataSeries DataSeriesCrossBelow = 
				EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern) * (1 - slider2.Value/100d);

PlotSeries(PricePane,EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern),Color.Indigo,LineStyle.Solid,1);
			PlotSeries(PricePane,  DataSeriesCrossBelow, Color.Red, LineStyle.Dotted,2 );

for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
			{
				var ds = Open;
				switch (slider5.ValueInt)
				{
					case 1: ds = Open; break;
					case 2: ds = High; break;
					case 3: ds = Low; break;
					case 4: ds = Close; break;
					default: break;
				}
				
				if (CrossUnder(bar,ds,DataSeriesCrossBelow))
					BuyAtMarket(bar + 1, "Group1|Group2|");
            
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);
					double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);
					if(!SellAtStop(bar + 1, p, Stop, "Group2"))
						SellAtLimit(bar + 1, p, Target, "Group1");
				}
			}
		}
	}
}[/code]

emskiphoto

5/25/2017 4:15 PM

Excellent! Thanks Eugene

emskiphoto

6/18/2017 4:26 AM

Hello Eugene,

Your solution successfully enables alternating through the OHLC data series that is the reference for the CrossUnder test.

Can you propose an additional solution that will enable a similar (but independent) variation of the OHLC series to be used for the EMA.series used in the DataSeriesCrossBelow data series?

In other words, during an optimization run I would like to be able to test each of the O H L C time series as the basis for the EMA calculation (the version of the code in the previous post can consider only the "Close" series). Additionally, it's important that the possible choices of OHLC series for the CrossUnder test are not required to be the same as the OHLC choices for the EMA.series used in the DataSeriesCrossBelow data series. For example, in any given run of an optimization it would be possible to have the CrossUnder test reference "H" and the EMA.series used in the DataSeriesCrossBelow data series reference "C".

See following unsuccessful attempt at coding this:

CODE:
Please log in to see this code.

Size:

Color:

Hello Eugene,

Your solution successfully enables alternating through the OHLC data series that is the reference for the CrossUnder test.

Can you propose an additional solution that will enable a similar (but independent) variation of the OHLC series to be used for the EMA.series used in the DataSeriesCrossBelow data series?

In other words, during an optimization run I would like to be able to test each of the O H L C time series as the basis for the EMA calculation (the version of the code in the previous post can consider only the "Close" series).  Additionally, it's important that the possible choices of OHLC series for the CrossUnder test are not required to be the same as the OHLC choices for the EMA.series used in the DataSeriesCrossBelow data series.   For example, in any given run of an optimization it would be possible to have the CrossUnder test reference "H" and  the EMA.series used in the DataSeriesCrossBelow data series reference "C".

See following unsuccessful attempt at coding this:

[code]using System;						
using System.Collections.Generic;						
using System.Text;						
using System.Drawing;						
using WealthLab;						
using WealthLab.Indicators;						
						
namespace WealthLab.Strategies						
{						
	public class MyStrategy : WealthScript					
	{					
						
		StrategyParameter slider1;				
		StrategyParameter slider2;				
		StrategyParameter slider3;				
		StrategyParameter slider4;				
		StrategyParameter slider5;				
		StrategyParameter slider6;				
		public MyStrategy()				
		{				
			slider1 = CreateParameter("EMA Period", 8, 6, 12, 1);			
			slider2 = CreateParameter("Percent Price Rel to EMA", 2.5, 1.75, 3.5, 0.25);			
			slider3 = CreateParameter("Profit Target %", 6, 5, 9, 1);			
			slider4 = CreateParameter("Stop Loss %", 9, 6, 12, 1);			
			slider5 = CreateParameter("OHLC Basis for X Under", 3, 1, 5, 1);			
			slider6 = CreateParameter("OHLC Basis for EMA", 3, 1, 5, 1);			
		}				
      						
		protected override void Execute()				
		{				
			DataSeries DataSeriesCrossBelow = 			
				EMA.Series(ds2,slider1.ValueInt,EMACalculation.Modern) * (1 - slider2.Value/100d);		
						
			PlotSeries(PricePane,EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern),Color.Indigo,LineStyle.Solid,1);			
			PlotSeries(PricePane,  DataSeriesCrossBelow, Color.Red, LineStyle.Dotted,2 );			
						
			for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)			
			{			
				var ds = Open;		
				switch (slider5.ValueInt)		
				{		
					case 1: ds = Open; break;	
					case 2: ds = High; break;	
					case 3: ds = Low; break;	
					case 4: ds = Close; break;	
					default: break;	
				}		
            						
				var ds2 = Open;		
				switch (slider6.ValueInt)		
				{		
					case 1: ds2 = Open; break;	
					case 2: ds2 = High; break;	
					case 3: ds2 = Low; break;	
					case 4: ds2 = Close; break;	
					default: break;	
				}		
            						
				if (CrossUnder(bar,ds,DataSeriesCrossBelow))		
					BuyAtMarket(bar + 1, "Group1|Group2|");	
            						
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)		
				{		
					Position p = ActivePositions[_pos];	
					double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);	
					double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);	
					if(!SellAtStop(bar + 1, p, Stop, "Group2"))	
						SellAtLimit(bar + 1, p, Target, "Group1");
				}		
			}			
		}				
	}					
}

[/code]

Eugene

6/18/2017 7:05 AM

Hi Matt,

This should get the job done.

CODE:
Please log in to see this code.

P.S. Make sure to load enough data because of this:

CODE:
Please log in to see this code.

Explanation: WealthScript Programming Guide > Indicators > Stability of Indicators

Size:

Color:

Hi Matt,

This should get the job done.

[code]using System;                  
using System.Collections.Generic;                  
using System.Text;                  
using System.Drawing;                  
using WealthLab;                  
using WealthLab.Indicators;                  
                  
namespace WealthLab.Strategies                  
{                  
	public class MyStrategy : WealthScript               
	{               
                  
		StrategyParameter slider1;            
		StrategyParameter slider2;            
		StrategyParameter slider3;            
		StrategyParameter slider4;            
		StrategyParameter slider5;            
		StrategyParameter slider6;
		
		public MyStrategy()            
		{            
			slider1 = CreateParameter("EMA Period", 8, 6, 12, 1);         
			slider2 = CreateParameter("Percent Price Rel to EMA", 2.5, 1.75, 3.5, 0.25);         
			slider3 = CreateParameter("Profit Target %", 6, 5, 9, 1);         
			slider4 = CreateParameter("Stop Loss %", 9, 6, 12, 1);         
			slider5 = CreateParameter("OHLC Basis for X Under", 3, 1, 4, 1);         
			slider6 = CreateParameter("OHLC Basis for EMA", 3, 1, 4, 1);         
		}            
                        
		protected override void Execute()            
		{            
			DataSeries DataSeriesCrossBelow = new DataSeries(Bars,"");
			PlotSeries(PricePane,EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern),Color.Indigo,LineStyle.Solid,1);         
                  
			for(int bar = GetTradingLoopStartBar(slider1.ValueInt * 3); bar < Bars.Count; bar++)
			{         
				var ds = Open;      
				switch (slider5.ValueInt)      
				{      
					case 1: ds = Open; break;   
					case 2: ds = High; break;   
					case 3: ds = Low; break;   
					case 4: ds = Close; break;   
					default: break;   
				}      
                              
				var ds2 = Open;      
				switch (slider6.ValueInt)      
				{      
					case 1: ds2 = Open; break;   
					case 2: ds2 = High; break;   
					case 3: ds2 = Low; break;   
					case 4: ds2 = Close; break;   
					default: break;   
				}
				
				DataSeriesCrossBelow = EMA.Series(ds2,slider1.ValueInt,EMACalculation.Modern) * (1 - slider2.Value/100d);				
                              
				if (CrossUnder(bar,ds,DataSeriesCrossBelow))      
					BuyAtMarket(bar + 1, "Group1|Group2|");   
                              
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)      
				{      
					Position p = ActivePositions[_pos];   
					double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);   
					double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);   
					if(!SellAtStop(bar + 1, p, Stop, "Group2"))   
						SellAtLimit(bar + 1, p, Target, "Group1");
				}      
			}
			
			PlotSeries(PricePane,DataSeriesCrossBelow, Color.Red, LineStyle.Dotted,2 );
		}            
	}               
}                  
[/code]

P.S. Make sure to load enough data because of this:
[code]//for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)    
for(int bar = GetTradingLoopStartBar(slider1.ValueInt * 3); bar < Bars.Count; bar++)[/code]
Explanation: WealthScript Programming Guide > Indicators > [i]Stability of Indicators[/i]

Wealth Lab » WealthScript (.NET) » How to loop through OHLC DataSeries in Optimization?